Equity-linked insurances and guaranteed annuity options

Burnecki, Krzysztof and Pazdan-Siudeja, Liliana (2008): Equity-linked insurances and guaranteed annuity options. Unpublished.

Abstract

We consider here term and whole-life cases of the equity-linked life insurance(ELLI), and the guaranteed annuity option (GAO). We present a financial instrument which is a combination of ELLI and GAO in a stochastic interest rate framework.

• Item Type: MPRA Paper
• Language: English
• Keywords: equity-linked life insurance; guaranteed annuity option; geometric Brownian motion; Ornstein-Uhlenbeck process; Monte Carlo simulations
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods

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